Automated trading algo generation 28 replies
Growing Neural Gas Algo for FX trading 2 replies
Best of four ECNs for algo trading? 3 replies
DislikedWhen testing your strategies are you going to use the tick data or the 1 min bars or both?
DislikedSince the M1 data is built from the tick data, I can use M1 for most purposes. I store for each candle the real O H L C values for both the bid and the asks.
So when I test I can truly work on real market prices. I have one more trick here: I added to each candle two more flags, which store what happened first: the low or the high. In this way I know the exact order in which the 4 points were hit.
Obviously, the lower the time frame I use and the smaller the profit target gets, the more important is working with real tick data. But I will limit...Ignored
DislikedThere is no point to build OHLC for bid and ask, just use the mid. If you want to be as realistic as possible (real market prices) then use the tick data. Obviously this is rather resource hungry when testing but the only thing you don't take into account then is slippage of execution. This is as close as it gets.Ignored
DislikedI'll use this thread to document my work on algo trading.Ignored
How is your research going? Very interesting topic. Looking forward to following along.Ignored